Strategy Zoo / S0942
PriceMomentum_V0942
ARCHIVEDhybridllmAdded regime gates to require UPTREND, MEDIUM volatility and NORMAL bubble to reduce trades in adverse environments; simplified and strengthened entry to require breakout or stronger 20d momentum combined with long-term trend and positive MACD; tightened and diversified exits (larger day loss, moving-average breach with negative momentum, and hard drawdown stop) to reduce deep drawdowns; reduced base position to 0.7 and added volatility-based position scaling using vol_pctile to cut size in very high-volatility regimes.
Fitness
0.5599
Generation
43
Complexity
16
Created
2026-09-30
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0942 [hybrid]
if flat and ((ret_20d > 0.02 and breakout_50 == 1) or (ret_20d > 0.05 and (close > sma_200 or sma_200_slope > 0.0) and macd_hist > 0.0)):
position = 0.7
if long and (ret_20d < -0.03 or (close < sma_50 and macd_hist < 0.0) or drawdown < -0.1):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.0% | 67.3% | -1.1% | 15.0% |
| Total Return | 71.6% | 367.9% | -4.1% | 685.8% |
| Sharpe | 0.45 | 1.99 | -0.01 | 0.79 |
| Sortino | 0.43 | 2.07 | -0.01 | 0.75 |
| Calmar | 0.16 | 3.00 | -0.05 | 0.35 |
| Volatility | 19.1% | 27.8% | 14.1% | 20.2% |
| Max DD | -43.5% | -22.4% | -22.7% | -43.5% |
| Win Rate | 45.6% | 51.4% | 52.9% | 49.1% |
| Avg Win | 3.1% | 6.2% | 1.8% | 3.5% |
| Avg Loss | -1.7% | -1.5% | -2.0% | -1.7% |
| Payoff | 1.85 | 4.25 | 0.88 | 2.03 |
| Expectancy | 0.5% | 2.5% | -0.0% | 0.8% |
| Profit Factor | 1.55 | 4.48 | 0.99 | 1.96 |
| Trades | 160 | 74 | 104 | 338 |
| Avg Holding Days | 4.5 | 4.0 | 2.4 | 3.7 |
| Turnover | 28.1 | 34.5 | 39.1 | 32.2 |
| Exposure | 19.7% | 20.4% | 10.5% | 17.5% |
Growth of $100
PriceMomentum_V0942 vs TSLA Buy & Hold
PriceMomentum_V0942 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | 3.8% | 0.53 | -5.6% | 22 |
| 2017 | -1.0% | 0.02 | -18.7% | 20 |
| 2018 | -24.6% | -2.29 | -24.5% | 20 |
| 2019 | 15.1% | 1.28 | -5.5% | 15 |
| 2020 | 321.3% | 3.74 | -12.3% | 20 |
| 2021 | 22.3% | 1.07 | -12.0% | 35 |
| 2022 | -11.9% | -0.95 | -11.9% | 19 |
A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.
Regime Performance
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 274 | -10.3% | -1.16 | 4% |
| hidden test | EXPENSIVE | 83 | 7.3% | 0.32 | 26% |
| hidden test | EXTREME | 48 | 95.3% | 3.36 | 22% |
| hidden test | HIGH VOLATILITY | 254 | 4.8% | 0.32 | 9% |
| hidden test | LOW VOLATILITY | 434 | 8.6% | 0.68 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | -20.2% | -1.32 | 11% |
| hidden test | NORMAL | 807 | -6.6% | -0.58 | 8% |
| hidden test | SIDEWAYS | 293 | -11.4% | -1.02 | 10% |
| hidden test | UPTREND | 371 | 16.2% | 0.87 | 16% |
| train | DOWNTREND | 518 | -2.5% | -0.74 | 2% |
| train | EXPENSIVE | 311 | 30.4% | 1.19 | 43% |
| train | EXTREME | 100 | 219.6% | 4.55 | 50% |
| train | HIGH VOLATILITY | 699 | 24.9% | 1.00 | 19% |
| train | LOW VOLATILITY | 745 | 9.8% | 0.69 | 23% |
| train | MEDIUM VOLATILITY | 568 | -13.3% | -0.82 | 16% |
| train | NORMAL | 1,601 | -8.9% | -0.67 | 13% |
| train | SIDEWAYS | 592 | -8.9% | -0.77 | 12% |
| train | UPTREND | 902 | 26.3% | 0.99 | 35% |
| validation | DOWNTREND | 125 | 2.8% | 1.35 | 1% |
| validation | EXPENSIVE | 138 | 60.7% | 2.23 | 30% |
| validation | EXTREME | 144 | 225.6% | 4.58 | 42% |
| validation | HIGH VOLATILITY | 258 | 65.2% | 1.81 | 16% |
| validation | LOW VOLATILITY | 183 | 26.6% | 2.20 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 63.8% | 2.39 | 25% |
| validation | NORMAL | 474 | 2.0% | 0.13 | 11% |
| validation | SIDEWAYS | 206 | 11.7% | 0.77 | 12% |
| validation | UPTREND | 425 | 91.8% | 2.60 | 30% |
Trades (full period)
latest 100 of 338
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -2.37% | 2 | |
| 2026-05-28 | 2026-06-01 | $442.10 | $415.88 | -0.86% | 3 | |
| 2026-05-14 | 2026-05-18 | $443.30 | $409.99 | -3.76% | 3 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -1.96% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.67% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 1.54% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.16% | 2 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -0.74% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.26% | 14 | |
| 2025-10-29 | 2025-11-10 | $461.51 | $445.23 | -4.79% | 9 | |
| 2025-09-29 | 2025-10-06 | $443.21 | $453.25 | -1.78% | 6 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -3.20% | 2 | |
| 2025-09-22 | 2025-09-24 | $434.21 | $442.79 | -0.17% | 3 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.62% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.84% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.03% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.59% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.55% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.22% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.19% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.44% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.85% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.50% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.90% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.16% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.71% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.20% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.21% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.32% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 2.71% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.08% | 2 | |
| 2025-05-05 | 2025-05-06 | $280.26 | $275.35 | -1.83% | 2 | |
| 2025-05-01 | 2025-05-02 | $280.52 | $287.21 | -0.55% | 2 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.36% | 2 | |
| 2025-04-15 | 2025-04-16 | $254.11 | $241.55 | 0.35% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -5.23% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -3.57% | 2 | |
| 2024-12-05 | 2024-12-23 | $369.49 | $430.60 | 12.16% | 13 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.25% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.24% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -2.91% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.63% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.36% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.00% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.23% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 6.13% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.89% | 2 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -1.88% | 2 | |
| 2024-10-02 | 2024-10-03 | $249.02 | $240.66 | -2.58% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.17% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.90% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.05% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -1.77% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.21% | 2 | |
| 2024-09-12 | 2024-09-13 | $229.81 | $230.29 | 0.38% | 2 | |
| 2024-09-10 | 2024-09-11 | $226.17 | $228.13 | 3.06% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.79% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.07% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 0.95% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 1.95% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.11% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.26% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 4.44% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.09% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.23% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -5.15% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.20% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 2.57% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.18% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.68% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -2.88% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.53% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -0.94% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.21% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.05% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.09% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.30% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 3.01% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.23% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.52% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.07% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -3.10% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.17% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.46% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.08% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.70% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.57% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.53% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.26% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -3.96% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.13% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.66% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.41% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.07% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.05% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.03% | 2 |